Trend-Following Backtester · Guide · backtest 한국어

equity · US

Tecnoglass Holdings Inc. backtest

10 trend-following strategies were compared on the full daily history of Tecnoglass Holdings Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.8%, MDD -48.4%).

Data 2012-05-10 ~ 2026-07-31daily bars 3,576 (14.2 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 11.0%, drawdown -84.8%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -55.0%, Sharpe 0.53, 54% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 12.8%, MDD -48.4%, exposure 74%).

The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.

Strategy · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=29, slow=102
12.9%-55.0%0.530.235.6x3554%
Donchian 채널 돌파
entryN=17, exitN=47
12.8%-48.4%0.510.265.5x3674%
Supertrend
period=17, mult=4.8
10.6%-62.7%0.470.174.2x5058%
ADX / DI 방향성
period=27, threshold=12
9.7%-49.8%0.450.193.7x13053%
ROC 모멘텀
n=53, threshold=-0.02
9.7%-55.0%0.440.183.7x18963%
EMA 크로스오버
fast=27, slow=48
9.0%-59.6%0.430.153.4x4955%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=17, mult=3.1
6.9%-56.9%0.390.122.6x4031%
볼린저 밴드 돌파
n=46, k=2.2
6.3%-53.7%0.360.122.4x5432%
Parabolic SAR
step=0.015, maxStep=0.24
-2.4%-77.7%0.09-0.030.7x24052%
MACD
fast=18, slow=30, signal=18
-4.2%-77.4%0.01-0.050.5x20250%
Buy and hold11.0%-84.8%0.460.134.4x1100%
1x 2013 2015 2017 2019 2021 2023 2025 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -64% -85% 2013 2015 2017 2019 2021 2023 2025 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -55.0% (2021-12-08 → 2022-09-23), recovered after 566 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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